To further increase the transparency of the mid cap indices of the Vienna Stock Exchange, the members of the CEE & CIS Index Committee Meeting have decided in the course of the regualr meeting on March 8, 2012 upon various changes of the mid cap index methodology. ...
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In order to be included in a mid cap index a company has to fulfil certain requirements regarding size and liquidity. The starting basis for identifying all shares that would be eligible for a mid cap index is the CEE & CIS index universe. The CEE & CIS index universe is screened on a step-by-step basis in order to get to all eligible shares for the related index.
- Remove all shares from the CEE & CIS index universe that are listed on non-eligible stock exchanges or which are non-eligible security types.
- Sort the remaining shares in descending order according to their free-float market capitalization and the cumulative coverage of the free-float market capitalization. The first 80% and the lowest 3% of the cumulative free-float market capitalization coverage are removed, so that only companies that fulfil the CECE MID size requirements remain in the universe.
- Sort the remaining shares according to their last 12 month average monthly turnover and free-float market capitalization.
- Only the six most liquid shares per country remain as eligible securities for the regional mid cap indices such as the CECE MID.
- At the maximum twenty of the most liquid shares that rank among the best 30 companies according to turnover and free-float market capitalization (30/30 rule) are included in the index index.
Source: ETFWorld – Wiener Borse
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